Cordula,
You can create the lagged values. After tsset:
gen lagvar = l.var
gen dlagvar = l2.var
And then include them as regressors in xtreg.
xtreg depvar lagvar dlagvar ...
To know more about <xtserial>, read (as cited in the help file for
<xtserial>):
Drukker, D. M. 2003. Testing for serial correlation in linear panel-data
models. Stata Journal (3)2: 168-177.
As you pointed out, there are several ways of correcting for
autocorrelation and <xtabond> is one of them.
Rafa
----- Original Message -----
From: "Cordula Stolberg" <[email protected]>
To: <[email protected]>
Sent: Monday, May 17, 2004 2:06 PM
Subject: st: Lagged independent variables & panel data
Hi all,
I have a question about a panel data model. I want to estimate a
regression
containing lagged x's, but no lagged y's, i.e.
frag fdi l.fdi l2.fdi & some dummies
I'm not sure how to do that with Stata. As far as I can see, the xtabond
command is only for dynamic panel data models with lagged dependent
variables. I've tried the usual xtreg..., but then Stata tells me that I
can't use time series operators. Does anyone know the command I should
use?
Moreover, I have a question with regard to the xtserial command. I've
used it for a random effects model (I had already detected
heteroskedasticity) and have found autocorrelation. How do I then
correct for that? I know there are the various xtgls commands to correct
for autocorrelation, but I'm not sure which type of autocorrelation
xtserial is referring to.
Sorry for the long mail & thanks for you help,
Cordula
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